Demonstrate that, in the case where the x(K) 0 linearly with strike, the implied volatility must

Question:

Demonstrate that, in the case where the x(K) → 0 linearly with strike, the implied volatility must necessarily rise asymptotically to infinity.

On this basis, explain why any implied volatility surface which remains finite as K → 0 must always underprice puts for a positive expectation of a stock jump to zero.

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